Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0956
Annualized Std Dev 0.9187
Annualized Sharpe (Rf=0%) -0.1041

Row

Daily Return Statistics

Close
Observations 3496.0000
NAs 1.0000
Minimum -0.6500
Quartile 1 -0.0137
Median 0.0000
Arithmetic Mean 0.0010
Geometric Mean -0.0004
Quartile 3 0.0137
Maximum 1.8857
SE Mean 0.0010
LCL Mean (0.95) -0.0009
UCL Mean (0.95) 0.0029
Variance 0.0033
Stdev 0.0579
Skewness 12.1011
Kurtosis 375.6490

Downside Risk

Close
Semi Deviation 0.0310
Gain Deviation 0.0704
Loss Deviation 0.0391
Downside Deviation (MAR=210%) 0.0342
Downside Deviation (Rf=0%) 0.0307
Downside Deviation (0%) 0.0307
Maximum Drawdown 0.9769
Historical VaR (95%) -0.0521
Historical ES (95%) -0.0928
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2000-03-13 2008-12-09 NA -0.9769 3403 1908 NA
2000-01-04 2000-01-28 2000-03-03 -0.1727 42 18 24
1999-12-14 1999-12-20 1999-12-27 -0.0754 9 5 4
1999-11-29 1999-12-02 1999-12-09 -0.0412 9 4 5
1999-10-28 1999-10-28 1999-10-29 -0.0312 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 NA NA NA NA NA NA NA NA NA -0.6 0 -1.4 -2
2000 -1.1 2.4 -0.5 3.6 7.1 0 -3.5 1.3 -2.1 -2.5 9.5 0 14.2
2001 -2.5 -0.2 -6.7 0.7 -1 -3.9 0.3 4.5 1 1.6 0 -2.2 -8.6
2002 1.2 5.1 0 0.4 1.7 -0.4 7.1 2.8 0 0 -2.4 -1.4 14.7
2003 2.9 0 1 -3 0.4 1.9 -3.5 0.5 0.5 -0.8 -1.2 -2.8 -4.4
2004 -3.5 1.7 -1.7 -0.4 1.9 -2.3 0 0 -0.5 2.3 -0.9 0 -3.6
2005 0 -0.5 -3.1 0 0 -1.8 2.3 0 -1 -1 2 0 -3.3
2006 -0.5 0 1.3 4 0 0.9 -2.3 0 2.2 -2.5 0.8 0.4 4.4
2007 0 -5 -1.2 -0.4 -1.9 -1.1 -2.9 1.9 1.4 0 -3.9 3.9 -9.2
2008 -8.3 -4.1 -2.4 -3.5 -6.7 0 0 4.5 0 -34 -13.3 0 -53.8
2009 1.4 5.3 -12.3 5.7 0 0 11 0 0.9 0 0 7.4 19.1
2010 1 -1.9 0.9 2.7 6.7 0.9 -2 5.2 -1.9 4.8 0 1.9 19.3
2011 2.5 -1.7 -0.9 -3.3 0 0 3.3 -4.2 -3.2 1.5 0.8 0.8 -4.5
2012 0 1.4 0 3.9 0 0.7 0 -1.3 3.2 -2.6 -2.7 0 2.4
2013 0.7 4.6 -0.6 0.6 -1.8 2.5 1.2 1.3 0 1.7 0 -26.4 -18.7
2014 0 2.9 -2.1 3.2 -2.6 1.1 0 0 -5.3 0 0.3 -1.1 -3.9
2015 0 0 -1.6 0 0 0.5 1.7 -0.6 -0.6 -0.6 1.8 -3 -2.6
2016 0 1.1 3.1 -3 -1.1 -1.3 0 1.2 -6.2 0 0 -4.3 -10.4
2017 0 0 0 3.8 0 1.1 -2.1 1.8 0.5 1 -6.8 -2.3 -3.4
2018 3.2 0 0 -0.9 4.7 0 0.5 0.5 0.5 0 0 5.9 14.8
2019 1.1 -5 -1.4 1.4 0.5 1 -1.4 -0.4 -3.8 2.4 0.5 -0.9 -6.3
2020 0 -3.1 -10.5 7.1 -0.6 1.6 -3.5 -2.5 0 -5.7 -2.9 0 -19.3
2021 4.5 0 0 NA NA NA NA NA NA NA NA NA 4.5

Row

Price Chart

# tidytable [6 × 5]
  datadate   Close   spy   gld   rel
  <date>     <dbl> <dbl> <dbl> <dbl>
1 1999-10-26 10     128.    NA 10   
2 1999-10-27 10     130.    NA  9.82
3 1999-10-28  9.69  135.    NA  9.20
4 1999-10-29 10     137     NA  9.33
5 1999-11-01  9.94  136.    NA  9.37
6 1999-11-02  9.88  135.    NA  9.38

Row

Rolling Performance Chart

Row

Snail Trail Chart